Vortex Indicator (VI)
James Chen, CMT is an expert trader, investment adviser, and global market strategist. He has authored books on technical analysis and 什么是MT4附加功能? foreign exchange trading published by John Wiley and Sons and served as a guest expert on CNBC, BloombergTV, Forbes, and Reuters among other financial media.
What is the Vortex Indicator (VI)?
A vortex indicator (VI) is an indicator composed of two lines - an uptrend line (VI+) and a downtrend line (VI-). These lines are typically colored green 什么是MT4附加功能? and red respectively. A vortex indicator is used to spot trend reversals and confirm current trends.
Understanding Vortex Indicator (VI)
The vortex indicator was first developed by Etienne Botes and Douglas Siepman who introduced the concept in a 2009 edition of “Technical Analysis of Stocks & Commodities.” The vortex indicator is based on two trendlines: VI+ and VI-.
Vortex Indicator Calculations
The calculation for the indicator is divided into four parts.
1. True range (TR) is the greatest 什么是MT4附加功能? of:
- Current high minus current low
- Current high minus previous close
- Current low minus previous close
2. Uptrend and downtrend movement:
- VM+ = Absolute value of current high minus prior low
- VM- = Absolute value of current low minus prior high
3. Parameter length (n)
- Decide on a parameter length (between 14 and 30 days is common)
- Sum the last n period’s true 什么是MT4附加功能? range, VM+ and VM-:
- Sum of the last n periods’ true range 什么是MT4附加功能? = SUM TRn
- Sum of the last n periods’ VM+ = SUM VMn+
- Sum of the last n periods’ VM- = SUM VMn−
4. Create the trendlines VI+ and VI-
- SUM VMn+/SUM TRn 什么是MT4附加功能? = VIn+
- SUM VMn-/SUM TRn = VIn−
- Repeating this process daily forms the VI+ and VI- trendlines.
The traditional application of using VI- and VI+ crossovers can result in a number of false trade signals when price action is choppy. Increase the number of periods used in the indicator to reduce this, for example, using 25 periods instead of 14.
Inferences
The vortex indicator is commonly used in conjunction with other reversal 什么是MT4附加功能? trend patterns to help support a reversal signal. It is integrated into most 什么是MT4附加功能? technical analysis software programs. VI+ and VI- are typically graphed independently below a 什么是MT4附加功能? candlestick chart. The chart below provides an example with lines that indicate changing trend signals on a candlestick chart.
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An uptrend or buy signal occurs when VI+ is below VI- and then crosses above VI- to take the top 什么是MT4附加功能? position among the trendlines. A downtrend or sell signal occurs when VI- is below VI+ and crosses above VI+ to 什么是MT4附加功能? take the top position among the trendlines. Overall, the trendline in the top position generally dictates whether the security is in an uptrend or downtrend.
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量化交易中VWAP/TWAP算法的基本原理和简单源码实现（C++和python）
踏莎行hyx 于 2017-06-01 22:00:28 发布 55388 收藏 89
VWAP是Volume Weighted Average Price的缩写，译为成交量加权平均价，VWAP策略是一种拆分大额委托单，在约定时间段内分批执行，以期使得最终买入或卖出成交均价尽量接近这段时间内整个市场成交均价的交易策略。它是量化交易系统中常用的一个基准。作为一个基准量，VWAP就是一个计算公式：
要做到这一点，VWAP模型必须把母单分割成为许多小的子单，并在一个指定的时间段内逐步送出去。这样做的效果就是降低了大单对市场的冲击，改善了执行效果；同时增加了大单的隐秘性。显然，VWAP模型的核心就是如何在市场千变万化的情况下，有的放矢地确定子单的大小、价格和发送时间。
VWAP模型做到这一点的关键是历史成交量、未来成交量的预测、市场动态总成交量以及拆单的时间段（就是总共要将总单拆分成多少单分别以怎样的时间频率交易）。较为高级的VWAP模型要使用交易所单簿（Order Book）的详细信息，这要求系统能够得到即时的第二级市场数据（Level II Market Data）。
VWAP模型对于在几个小时内执行大单的效果最好。在交易量大的市场中，VWAP效果比在流动性差的市场中要好。在市场出现重要事件的时候往往效果不那么好。如果订单非常大，譬如超过市场日交易量的1%的话，即便VWAP可以在相当大的程度上改善市场冲击，但市场冲击仍然会以积累的方式改变市场，最终使得模型的效果差于预期。
VWAP算法交易的目的是最小化冲击成本，并不寻求最小化所有成本。理论上，在没有额外的信息，也没有针对股票价格趋势的预测的情况下，VWAP 是最优的算法交易策略。
TWAP交易时间加权平均价格Time Weighted Average Price 模型是把一个母单的数量平均地分配到一个交易时段上。该模型将交易时间进行均匀分割，并在每个分割节点上将拆分的订单进行提交。例如，可以将某个交易日的交易时间平均分为N 段，TWAP 策略会将该交易日需要执行的订单均匀分配在这N 个时间段上去执行，从而使得交易均价跟踪TWAP，也是一个计算公式：
TWAP不考虑交易量的因素。TWAP的基准是交易时段的平均价格，它试图付出比此时段内平均买卖差价小的代价执行一个大订单。TWAP模型设计的目的是使交易对市场影响减小的同时提供一个较低的平均成交价格，从而达到减小交易成本的目的。在分时成交量无法准确估计的情况下，该模型可以较好地实现算法交易的基本目的。但是使用TWAP过程中的一个问题是，在订单规模很大的情况下，均匀分配到每个节点上的下单量仍然较大，当市场流动性不足时仍可能对市场造成一定的冲击。另一方面，真实市场的成交量总是在波动变化的，将所有的订单均匀分配到每个节点上显然是不够合理的。因此，算法交易研究人员很快建立了基于成交量变动预测的VWAP 模型。不过，由于TWAP 操作和理解起来非常简单，因此其对于流动性较好的市场和订单规模较小的交易仍然适用。
Verbose mode
A verbose mode is an option available in many computer operating systems, including Microsoft Windows, macOS, and Linux. It provides additional details as to what the computer is doing and what drivers and software it is loading during startup. This level of detail can be helpful for troubleshooting problems with hardware or software upon startup or after the operating system has loaded. Below is an example of verbose output in a Windows command line screen.什么是MT4附加功能?
There are several ways to enable Verbose Mode. During startup, the screen may display which key(s) to press on the keyboard to enable Verbose Mode. Usually, users would press the Esc (escape) key for Linux, or the keyboard shortcut Ctrl + V for Microsoft Windows, and Command + V for macOS.